Walter Schachermayer

14 papers Journal 13
YearRankTypeTitle / Venue / Authors
2021 J jnl
Trajectorial dissipation and gradient flow for the relative entropy in Markov chains.
Commun. Inf. Syst.
Ioannis Karatzas, Jan Maas, Walter Schachermayer
2020 J jnl
Theoretical and empirical analysis of trading activity.
Math. Program.
Mathias Pohl, Alexander Ristig, Walter Schachermayer, Ludovic Tangpi
2018 J jnl
Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs.
Finance Stochastics
Christoph Czichowsky, Rémi Peyre, Walter Schachermayer, Junjian Yang
2017 J jnl
Erratum to: Utility maximization in incomplete markets with random endowment.
Finance Stochastics
Jaksa Cvitanic, Walter Schachermayer, Hui Wang
2017 J jnl
The space of outcomes of semi-static trading strategies need not be closed.
Finance Stochastics
Beatrice Acciaio, Martin Larsson, Walter Schachermayer
2014 — ch.
On the duality theory for the Monge?Kantorovich transport problem.
Optimal Transport
Mathias Beiglböck, Christian Léonard, Walter Schachermayer
2014 J jnl
Transaction Costs, Shadow Prices, and Duality in Discrete Time.
SIAM J. Financial Math.
Christoph Czichowsky, Johannes Muhle-Karbe, Walter Schachermayer
2014 J jnl
Transaction costs, trading volume, and the liquidity premium.
Finance Stochastics
Stefan Gerhold, Paolo Guasoni, Johannes Muhle-Karbe, Walter Schachermayer
2013 J jnl
The dual optimizer for the growth-optimal portfolio under transaction costs.
Finance Stochastics
Stefan Gerhold, Johannes Muhle-Karbe, Walter Schachermayer
2009 J jnl
In which financial markets do mutual fund theorems hold true?
Finance Stochastics
Walter Schachermayer, Mihai Sîrbu, Erik Taflin
2006 J jnl
A super-replication theorem in Kabanov's model of transaction costs.
Finance Stochastics
Luciano Campi, Walter Schachermayer
2003 J jnl
A super-martingale property of the optimal portfolio process.
Finance Stochastics
Walter Schachermayer
2001 J jnl
Utility maximization in incomplete markets with random endowment.
Finance Stochastics
Jaksa Cvitanic, Walter Schachermayer, Hui Wang
1997 J jnl
Weighted norm inequalities and hedging in incomplete markets.
Finance Stochastics
Freddy Delbaen, Pascale Monat, Walter Schachermayer, Martin Schweizer, Christophe Stricker